1 citations · 1 across the 2 of their papers we have counts for
4 papers
Mean-Reverting SABR Models: Closed-form Surfaces and Calibration for Equities
V. Perederiy
In this paper, we consider three stochastic-volatility models, each characterized by distinct dynamics of instantaneous volatility: (1) a CIR process for squared volatility (i.e.,…
Vanna-Volga Method for Normal Volatilities
Volodymyr Perederiy
Vanna-Volga is a popular method for the interpolation/extrapolation of volatility smiles. The technique is widely used in the FX markets context, due to its ability to consistently…
Sparse Structural Approach for Rating Transitions
Volodymyr Perederiy
In banking practice, rating transition matrices have become the standard approach of deriving multi-year probabilities of default (PDs) from one-year PDs, the latter normally being…
Endogenous Derivation and Forecast of Lifetime PDs
Volodymyr Perederiy
This paper proposes a simple technical approach for the analytical derivation of Point-in-Time PD (probability of default) forecasts, with minimal data requirements. The inputs req…